I just bought my iPhone 14 pro and it’s been heating up a lot

Not sure what "heating up a lot" might mean, but unless you are receiving on screen messages that the phone is overheating, I would not be concerned at all.

It's normal for the phone to become quite warm during fast charging or using apps that require a good bit of power.

It is normal for your iPhone to get warm if, for example, you are running a demanding app or a game. Just like your iPhone also gets warm when you charge it. Right after the setup, and some time after, you may also experience that your iPhone gets warm.

You can find more useful information here:

If your iPhone or iPad gets too hot or too cold - Apple Support